2006•Unpublished venueRequires access

The Measure of Liquidity in Futures Market

Yang Yan-jun

Abstract

Based on the investigation of current methods of measuring liquidity, this paper designs a new way of measuring liquidity from the point of view of market microstructure liquidity index L. The empirical study of Chinese futures market by means of liquidity index L shows that the overall liquidity trend, distribution test, intraday liquidity characteristic and date due effects tally with the actual situation

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Key concepts: Market liquidity, Accounting liquidity, Futures contract, Index (typography), Liquidity crisis, Liquidity risk, Futures market, Measure (data warehouse)